Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0227
Annualized Std Dev 0.2716
Annualized Sharpe (Rf=0%) 0.0837

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1602
Quartile 1 -0.0073
Median 0.0006
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0086
Maximum 0.1327
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0171
Skewness -0.3521
Kurtosis 7.3710

Downside Risk

Close
Semi Deviation 0.0125
Gain Deviation 0.0118
Loss Deviation 0.0134
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0124
Downside Deviation (0%) 0.0124
Maximum Drawdown 0.7896
Historical VaR (95%) -0.0252
Historical ES (95%) -0.0419
Modified VaR (95%) -0.0270
Modified ES (95%) -0.0505
From Trough To Depth Length To Trough Recovery
2000-02-18 2009-03-09 NA -0.7896 5305 2275 NA
1999-01-19 1999-04-19 1999-07-02 -0.1680 116 63 53
1999-09-15 1999-10-18 1999-12-22 -0.1503 70 24 46
2000-01-25 2000-01-31 2000-02-04 -0.1152 9 5 4
1999-07-16 1999-08-10 1999-08-23 -0.0958 27 18 9

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0.4 -1.4 -0.9 -1.4 0.9 1.7 -0.4 -1.1 -1.1 0.8 1.5 -1.2
2000 3.1 0.8 3.1 5.1 3.5 -0.6 2.8 1 -1.5 -0.6 3.2 0 21.6
2001 1 -1.2 0.7 0 0.3 0.7 0.2 0.6 -1.1 -0.1 0.2 -0.8 0.4
2002 0.2 -0.3 -0.8 0.5 -0.2 -6.2 -2.3 -0.1 1.1 1.5 1.2 -0.2 -5.7
2003 0.7 0.1 2.4 0.1 2 -1.3 -1.6 -0.3 1.6 0.2 1.3 -0.3 5
2004 -0.2 -0.8 1.6 -0.5 -0.1 -0.1 0.3 0.8 0.1 -1.7 1.5 1.7 2.4
2005 0.2 1.3 0.2 0.6 0.5 0.8 0.7 0.1 0.9 -0.7 0.1 -0.3 4.4
2006 0.5 0.7 -0.1 -1.4 0.1 0.5 -0.9 0.3 0.5 -1.2 -0.5 0.3 -1.2
2007 0.3 -0.6 1.1 0 0.8 -0.8 -0.4 1.6 0.6 -1.1 0.5 1.7 3.8
2008 1.2 -0.3 3.3 2 0.5 0.7 -0.3 -0.6 1.2 1 -7.2 1.6 2.6
2009 0.8 -3.3 -1.4 -1.5 0.4 0 0.7 -1.9 -1.6 -2 0.8 0.3 -8.5
2010 0.7 1.9 0.3 -1.2 -1.6 -0.7 0.9 2.1 0.4 0.9 1.5 -0.3 4.8
2011 1.6 -0.4 0.5 1 -2.3 -1.8 -0.3 -1.6 -2.4 -1.5 -0.1 0.4 -6.7
2012 1.4 1.2 1.2 0.5 -2 4.1 -0.2 0.6 0.1 0.9 0.3 1.2 9.7
2013 0.5 0.2 0.8 0.5 -1.7 2.4 2.6 -2 1.5 -0.5 -0.5 -0.5 3.2
2014 -1.9 -2.3 4.6 1.6 -3.1 1 -1.8 0.7 -0.8 1.2 -1.5 -0.1 -2.6
2015 -2.2 -0.7 -0.5 2.2 0.2 0.1 1.7 -2.7 3.7 0.2 -0.2 0.1 1.7
2016 0.9 3.2 2.2 -1.8 1.2 2.1 0.9 0.4 1.1 -0.2 -2.3 -1 6.7
2017 2.4 -0.2 0.1 0.6 1.8 -1.4 -0.6 0.3 0.9 -0.4 -0.5 0.1 3
2018 0.9 -1 0.6 0.5 0.5 1.5 0.7 -0.3 -0.1 3.3 1.2 -0.1 7.9
2019 -0.6 1.7 -0.1 -1.2 -1.5 0.7 -0.2 -0.5 -1.5 1.6 0.1 0.2 -1.3
2020 -1.7 -2.5 -4.4 -2.5 0.1 0 -2.3 -1.5 0.3 -1.8 1 1.5 -13.1
2021 1.3 1 2.8 NA NA NA NA NA NA NA NA NA 5.1

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart